Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 16 (1D) Dec 17 (2D) Dec 18 (3D) Dec 19 (4D) Dec 22 (7D) Dec 23 (8D) Dec 24 (9D) Dec 25 (10D) Dec 26 (11D) Dec 29 (14D) Jan 02 (18D) Jan 09 (25D) Jan 16 (32D) Jan 23 (39D) Jan 30 (46D) Feb 06 (53D) Feb 13 (60D) Feb 20 (67D) Feb 27 (74D) Mar 06 (81D) Mar 13 (88D) Mar 20 (95D) Mar 27 (102D)
lower 674.81 672.366 670.49 668.909 665.099 664.021 663.009 662.052 661.141 658.633 655.677 651.208 647.333 643.862 640.692 637.755 635.006 632.414 629.953 627.607 625.36 623.201 621.12
upper 686.61 689.054 690.93 692.511 696.321 697.399 698.411 699.368 700.279 702.787 705.743 710.212 714.087 717.558 720.728 723.665 726.414 729.006 731.467 733.813 736.06 738.219 740.30
expected move 5.90 8.344 10.22 11.801 15.611 16.689 17.701 18.658 19.569 22.077 25.033 29.502 33.377 36.848 40.018 42.955 45.704 48.296 50.757 53.103 55.35 57.509 59.59
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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